Asymmetric reactions of stock prices and industrial output to exchange rate shocks: Multiple threshold nonlinear autoregressive distributed lag framework

Motivated by swings in the exchange rate of many developing economies which exert influence on firms? input costs, output, stock prices, and profits, study investigated asymmetric reactions prices industrial output to various shocks Nigeria using a multiple threshold nonlinear autoregressive distributed lag model high frequency series from January 1999 December 2021. Empirical results suggest that react asymmetrically opposite direction depreciation. It further indicates both changes are sensitive size shocks. Exchange above 25th percentile significantly inversely affect effects become pernicious if 75th percentile. The main economic implication empirical finding is upper quantile, depreciation appreciation hurt hence, values. Thus, highly extent